Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0831
Annualized Std Dev 0.2400
Annualized Sharpe (Rf=0%) 0.3463

Row

Daily Return Statistics

Close
Observations 3985.0000
NAs 1.0000
Minimum -0.1618
Quartile 1 -0.0068
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0081
Maximum 0.0971
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0151
Skewness -0.5944
Kurtosis 8.1330

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0100
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.5806
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0244
Modified ES (95%) -0.0511
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-09 2013-02-07 -0.5806 1389 412 977
2020-02-14 2020-03-23 2020-10-05 -0.3979 162 26 136
2018-09-05 2018-12-24 2020-01-21 -0.2964 346 77 269
2015-06-24 2016-02-11 2017-02-15 -0.2934 391 151 240
2006-05-08 2006-07-21 2007-07-12 -0.2097 297 53 244

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA 0.1 -0.5 0.5 0.1 0.1 -0.1 0.5 -0.3 2 -0.7 1.7
2006 0.8 1.9 0.3 -0.2 2.1 0.3 -1.2 -0.1 -1.1 -2.4 -0.7 -1.3 -1.7
2007 1.6 -0.2 0.6 -0.2 0.8 -0.6 0.3 1.2 3 -3 0.3 -1.5 2
2008 2.2 -2.9 2.7 1.8 0.3 0.1 -0.1 -0.8 -2 1.6 -9.7 3.7 -3.9
2009 -0.8 -1 -1.2 0.3 3.4 1.9 -0.2 -2.2 -2.2 -1.8 1.1 -0.4 -3
2010 1.1 2.6 -0.4 -3 -3.3 -0.7 -0.1 3.7 0.1 -1.3 2.2 -0.9 -0.4
2011 2.5 -2.6 1.2 1 -3.6 1.8 -0.5 -1.7 -2.1 -3.8 0.3 -0.1 -7.7
2012 1.7 0.7 -0.2 1 -3.2 4 -1.3 0.5 0.3 0 -0.5 1.4 4.4
2013 0.9 -0.3 -1 -1.6 -0.4 1.3 0.4 -0.9 1 -0.5 0.2 0.4 -0.5
2014 -0.2 -0.2 0.3 -0.3 -0.5 1 -1.3 0.8 -2 1.5 -1.9 0.6 -2.2
2015 -1 0.3 -0.7 0.2 0.3 0.2 0.2 -2.4 -0.6 0 -0.6 -0.6 -4.7
2016 0 1.2 0.2 -1.4 1.3 1.2 0.2 -0.5 0.7 -0.6 -2.3 -0.5 -0.6
2017 -0.5 1.6 0.7 0.4 2.2 0.9 0 0.4 0.4 -1.1 -0.8 -0.3 4.1
2018 0.1 -1.1 1.7 0.5 1 -0.2 -0.1 0.6 -1.9 2.6 0.6 1.3 5.2
2019 0.4 1 0.1 -0.5 -1.1 0.1 -0.2 -0.5 -1.5 0.7 -0.7 0.3 -1.8
2020 -2.4 -2.1 -7.4 -3.5 1.1 -0.3 -0.1 1.4 1.4 -2.3 0.8 -0.7 -13.6
2021 2.7 3.5 0.8 NA NA NA NA NA NA NA NA NA 7.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-03  15.2 SPY    121.  0.0004   0.0082   0.0194   0.0167   0.0478   0.0473  -0.0908 GLD    43.0 -0.0065  -0.0083
2 2005-03-04  15.2 SPY    123.  0.0125   0.0107   0.029    0.0285   0.0581   0.0637  -0.0984 GLD    43.4  0.0095  -0.0028
3 2005-03-07  15.3 SPY    123.  0.0005   0.0179   0.0322   0.0297   0.0551   0.0517  -0.107  GLD    43.5  0.0021  -0.0011
4 2005-03-08  15.1 SPY    122. -0.0037   0.0091   0.0175   0.0262   0.0641   0.05    -0.116  GLD    44.0  0.0129   0.0187
5 2005-03-09  15.0 SPY    121. -0.0111  -0.0017   0.0075   0.0243   0.0565   0.034   -0.127  GLD    44.0 -0.0002   0.0178
6 2005-03-10  14.9 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341  -0.141  GLD    44.2  0.0041   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart